It is most likely not even being implemented by the <select> element. It could be another element that has been style accordingly.
If you visit the site, right click and "view source", that may give you a better idea of how this was done.
You also may want to do a google search for dropdown CSS styling. I will agree with Jorge and your BEST bet is to view the source of the page. Another recommendation is to have firebug installed, that will be able to inspect the elements on the actual page. Google Chrome I also believe has this Developer Tool installed on their browser.